Volatility spillovers among oil and stock markets in the US and Saudi Arabia
In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times w...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5864 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6863/viewcontent/Volatility_spillovers_among_oil_and_stock_markets_in_the_US_and_Saudi_Arabia.pdf |
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| Institution: | Singapore Management University |
| Language: | English |